Downloaded Model Is Purple - Image Texturing
As Jachym Michal already mentioned, the Blender-friendly textures are in HS015.fbm.zip. Just extract them into a folder. In Blender, use the menu entry File → External Data → Find Missing Files to get the correct path.
After this, you need to fix the transparency, and the Roughness and Specular values. They are a bit messed up.

Yes, the model comes with Shapekeys :-)
Transparency
The materials in the FBX file use the base (diffuse) color for the Alpha slot. That's wrong. The images have an Alpha mask. So just remove the wrong Image Texture node and plug in the Alpha output from the Image Texture into the Alpha slot of the Principled BSDF node.
In the Material Properties &gt; Settings set Blend Mode to Alpha Hashed.
You need to do this for the cloth, the body, the eyes, the hair, the eyelashes, the tear line, the eye's fake AO (CC_Base_EyeOcclusion). Each eye has its own material slot.
Roughness and Specular
for most materials you can go with the default Specular value of 0.5 and adjust the Roughness value

use a low Roughness value 0.1 and default Specular value 0.5 for the eyes and tear line to give them a reflection
a little more Roughness 0.3 to 0.4 for teeth and the wet tongue for reflection
increase the Specular value for the hair a little (0.15) so there is some sheen in the light
for the skin, you can use the &quot;MetallicAlpha&quot; and &quot;SpecMask&quot; from the Textures.zip file and control with them the Roughness value. This way the nose holes are not shiny but black. Note: Use the Alpha output from the &quot;MetallicAlpha&quot; images. A Specular value of 0.3-0.4 is fine.

Subsurface Scattering
use a little for the skin to make it look more realistic and more &quot;skinny&quot;. For testing, I use the &quot;SSS&quot; mask from Textures.zip. But I think you can use a plain color in Eevee. The body below the neck uses a plain SSS color, the arms are unchanged and have no SSS and no roughness (see the first image).